| The impact of the cross-shareholding network on extreme price movements: evidence from China |
11 |
| Chaotic behavior in financial market volatility |
5 |
| Balance-sheet interest rate risk: a weighted L-p approach |
2 |
| Static and dynamic risk capital allocations with the Euler rule |
2 |
| The efficiency of the Anderson-Darling test with a limited sample size: an application to backtesting counterparty credit risk internal models |
2 |
| Valuing streams of risky cashflows with risk-value models |
2 |
| Range-based volatility forecasting: an extended conditional autoregressive range model |
2 |
| Monitoring transmission of systemic risk: application of partial least squares structural equation modeling in financial stress testing |
2 |
| Loss given default estimation: a two-stage model with classification tree-based boosting and support vector logistic regression |
2 |
| Asymmetry herding behavior of real estate investment trusts: evidence from information demand |
1 |
| New backtests for unconditional coverage of expected shortfall |
1 |
| Nonparametric versus parametric expected shortfall |
1 |
| Estimation risk for value-at-risk and expected shortfall |
1 |
| 5 Estimation window strategies for value-at-risk and expected shortfall forecasting |
1 |
| The CoCVaR approach: systemic risk contribution measurement |
1 |
| Backtesting expected shortfall: a simple recipe? |
1 |
| Crash risk exposure, diversification and cost of equity capital: evidence from a natural experiment in China |
0 |
| Measuring the systemic risk of China's banking sector: an application of differential DebtRank |
0 |
| A general framework for constructing bank risk data sets |
0 |
| Covering the world: global evidence on covered calls |
0 |
| A three-state early warning system for the European Union |
0 |
| From log-optimal portfolio theory to risk measures: logarithmic expected shortfall |
0 |
| Currency risk in foreign currency accounts for small and medium-sized businesses |
0 |
| Rating migrations of US financial institutions: are different outcomes equivalent? |
0 |
| Risk-averse dynamic arbitrage in illiquid markets |
0 |
| International and temporal diversifications: the best of both worlds? |
0 |
| Genetic algorithm-based portfolio optimization with higher moments in global stock markets |
0 |
| Risk averse fractional trading using the current drawdown |
0 |
| The implications of value-at-risk and short-selling restrictions for portfolio manager performance |
0 |
| Second-order risk of alternative risk parity strategies |
0 |
| Impact of D-vine structure on risk estimation |
0 |
| A review of the fundamentals of the Fundamental Review of the Trading Book II: asymmetries, anomalies, and simple remedies |
0 |
| Equity market impact modeling: an empirical analysis for the Chinese market |
0 |
| Optimal hedge ratios based on Markov-switching dynamic copula models |
0 |
| Multifactor granularity adjustments for market and counterparty risks |
0 |
| Forecasting corporate defaults in the German stock market |
0 |
| Recursive estimation of the exponentially weighted moving average model |
0 |
| Estimating maturity profiles of nonmaturing deposits |
0 |
| Mostly prior-free asset allocation |
0 |
| Dependence dynamics among exchange rates, commodities and the Brazilian stock market using the R-vine SCAR model |
0 |
| BV-VPIN: measuring the impact of order flow toxicity and liquidity on international equity markets |
0 |
| A generic stress testing framework with related economic shocks and possible regulatory intervention |
0 |
| Making Cornish-Fisher fit for risk measurement |
0 |
| Measuring latent risk preferences: minimizing measurement biases |
0 |
| Counterparty risk: credit valuation adjustment variability and value-at-risk |
0 |
| Could holding multiple safe havens improve diversification in a portfolio? The extended skew-t vine copula approach |
0 |
| The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework |
0 |
| The quickest way to lose the money you cannot afford to lose: reverse stress testing with maximum entropy |
0 |
| Initial margin with risky collateral |
0 |
| Optimal equity protection of Solvency II regulated portfolios |
0 |
